OVERHEARING IN FINANCIAL MARKETS - A Multi-agent Approach

Hedjazi Badiâa, Aknine Samir, Ahmed-Nacer Mohamed, Benatchba Karima

Abstract

Open complex systems as financial markets evolve in a highly dynamic and uncertain environment. They are often subject to significant fluctuations due to unanticipated behaviours and information. Modelling and simulating these systems by means of agent systems, i.e., through artificial markets is a valuable approach. In this article, we present our model of asynchronous artificial market consisting of a set of adaptive and heterogeneous agents in interaction. These agents represent the various market participants (investors and institutions). Investor Agents have advanced mental models for ordinary investors which do not relay on fundamental or technical analysis methods. On one hand, these models are based on the risk tolerance and on the other hand on the information gathered by the agents. This information results from overhearing influential investors in the market or the order books. We model the system through investor agents using learning classifier systems as reasoning models. As a result, our artificial market allows the study of overhearing impacts on the market. We also present the experimental evaluation results of our model.

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Paper Citation


in Harvard Style

Badiâa H., Samir A., Mohamed A. and Karima B. (2011). OVERHEARING IN FINANCIAL MARKETS - A Multi-agent Approach . In Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 2: ICAART, ISBN 978-989-8425-41-6, pages 342-350. DOI: 10.5220/0003293603420350


in Bibtex Style

@conference{icaart11,
author={Hedjazi Badiâa and Aknine Samir and Ahmed-Nacer Mohamed and Benatchba Karima},
title={OVERHEARING IN FINANCIAL MARKETS - A Multi-agent Approach},
booktitle={Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,},
year={2011},
pages={342-350},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003293603420350},
isbn={978-989-8425-41-6},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,
TI - OVERHEARING IN FINANCIAL MARKETS - A Multi-agent Approach
SN - 978-989-8425-41-6
AU - Badiâa H.
AU - Samir A.
AU - Mohamed A.
AU - Karima B.
PY - 2011
SP - 342
EP - 350
DO - 10.5220/0003293603420350